THE IMPACT OF DEFAULT RISK ON THE PRICES OF OPTIONS AND OTHER DERIVATIVE SECURITIES

被引：174

作者：

HULL, J

WHITE, A

机构：

[1] Faculty of Management, University of Toronto, Toronto, Ont. M5S 1V4

来源：

JOURNAL OF BANKING & FINANCE | 1995年 / 19卷 / 02期

关键词：

OPTIONS; DERIVATIVES; DEFAULT; CREDIT RISK; PRICING;

D O I：

10.1016/0378-4266(94)00050-D

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper presents a model for valuing derivative securities when there is default risk. The holder of a security is assumed to recover a proportion of its no-default value in the event of a default by the counterparty. Both the probability of default and the size of the proportional recovery are random. The paper shows how data on bonds issued by the counterparty can be used to provide information about model parameters.

引用

页码：299 / 322

页数：24

共 22 条

[1] MEASURING CORPORATE BOND MORTALITY AND PERFORMANCE [J].